相关论文: Limits of Semistatic Trading Strategies

We study the existence and approximate controllability of a class of fractional nonlocal delay semilinear differential systems in a Hilbert space. The results are obtained by using semigroup theory, fractional calculus, and Schauder's fixed…

We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…

We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that…

The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…

We show that the spectrum of a discrete two-dimensional periodic Schr\"odinger operator on a square lattice with a sufficiently small potential is an interval, provided the period is odd in at least one dimension. In general, we show that…

In this paper we review a recent proposal to understand the long time limit of glassy dynamics in terms of an appropriate Markov Chain. [1]. The advantages of the resulting construction are many. The first one is that it gives a quasi…

Stochastic contraction analysis is a recently developed tool for studying the global stability properties of nonlinear stochastic systems, based on a differential analysis of convergence in an appropriate metric. To date, stochastic…

The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend…

We study discrete Schroedinger operators with analytic potentials. In particular, we are interested in the connection between the absolutely continuous spectrum in the almost periodic case and the spectra in the periodic case. We prove a…

A Feynman-Kac type formula of relativistic Schr\"odinger operators with unbounded vector potential and spin 1/2 is given in terms of a three-component process consisting of Brownian motion, a Poisson process and a subordinator. This formula…

This paper establishes limit theorems and quantitative statistical stability for a class of piecewise partially hyperbolic maps that are not necessarily continuous nor locally invertible. By employing a flexible functional-analytic…

We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…

We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…

The scaling functions of single-time and two-time correlators in systems undergoing non-equilibrium critical dynamics with dynamical exponent ${z}=2$ are predicted from a new time-dependent non-equilibrium representation of the…

In this article we prove a reducibility result for the linear Schr\"odinger equation on a Zoll manifold with quasi-periodic in time pseudo-differential perturbation of order less or equal than $1/2$. As far as we know, this is the first…

We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him…

This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…

We study a non-linear Schroedinger equation with a Hartree-type nonlinearity and a localized random time-dependent external potential. Sharp dispersive estimates for the linear Schroedinger equation with a random time-dependent potential…

This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…

We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportional transaction costs. There, we established a positive…